Very interesting concepts and ideas in this thread.
I am reading it as well. Regarding the triangular arbitrage concept and the posted EA.
The necessary triangular arbitrage shouldn't require much explanation by now. The difference is that in the real arbitrage the trades are performed only when there is a profitable price difference between the commodity and the exchange contracts. there are also some major obstacles regarding triangular arbitrage in Forex, which lead many to rest the case, too soon.
Liquidity – When checking an arbitrage trade, prices may drop in less liquid markets, but this is for a reason. You may not be able to unwind your trade at your desired exit point. Less liquidity, doesn't relate to triangular anomaly, which is what we are after.
Execution speed challenge – arbitrage opportunities often require rapid execution. Doing it manual - forget it. To be successful you need top notch software/algo because there are a lot of repetitive checks and calculations.
Lending/borrowing costs – Advanced arbitrage strategies often require lending or borrowing at near risk free rates. Traders outside of banks cannot lend or borrow at anywhere near risk free rates unless they can access secured borrowing, which most of us retail traders can't. Because of this, we are missing on many sweet little arbitrage opportunities, that are exposed only to big players. We don't even get to them.
Trade costs and spread – Always plays a role in all trading costs from the start including margin costs. Depends on the broker as well.
Reasons mentioned above, might be enough, to break someone's game plan, when dealing with true arbitrage problems. This is why different varieties of different and similar approaches are being developed. One of them is EA posted above. The idea of the strategy is simple. that is, if the price is low, buy cheap. Moreover, the lower the price dropped, the greater the volume to buy. Vice versa for sell. There are some more bells and whistles added to the logic, like trend following filter, trading hours and so on. This results in a typical counter-trend strategy with all the ensuing consequences. And the only consequences is that when using this strategy to trade a single pair, the profit can be received from the rollbacks or trend reversals, and also from all flats and ranges. The rest of the time, that is during trends, there is nothing but equity losses to receive. (those can be avoided to an extent, if using trading hours like Asian session for example).
Like I said, a side project development. The arbitrage trading topic, was always very interesting to me. Since, I do believe it's very hard to overcome the mentioned obstacles for an average Joe retail trader in Forex, it is always nice to hear different approaches to break the concept. One of my favourite is also this guy and his concepts here: https://www.forexfactory.com/showthread.php?t=64423 very interesting read indeed. I am trying to follow some of those concepts in my approach as well.
Regarding this thread and what OP wants.
I think Dagoods already helped with some links and indicators, that could do that. Yesterday I think, I've found another one, that might just do what the OP wants. I might be mistaken. In this case moving average shows the difference in prices for two correlated pairs. Decrease means, that price is behind the average between both pairs and you should buy the first pair and sell the second. Vice versa for increase: (I am not affiliated with the product in any way). https://www.mql5.com/en/market/product/3588#
I hope this helps.
I am reading it as well. Regarding the triangular arbitrage concept and the posted EA.
The necessary triangular arbitrage shouldn't require much explanation by now. The difference is that in the real arbitrage the trades are performed only when there is a profitable price difference between the commodity and the exchange contracts. there are also some major obstacles regarding triangular arbitrage in Forex, which lead many to rest the case, too soon.
Liquidity – When checking an arbitrage trade, prices may drop in less liquid markets, but this is for a reason. You may not be able to unwind your trade at your desired exit point. Less liquidity, doesn't relate to triangular anomaly, which is what we are after.
Execution speed challenge – arbitrage opportunities often require rapid execution. Doing it manual - forget it. To be successful you need top notch software/algo because there are a lot of repetitive checks and calculations.
Lending/borrowing costs – Advanced arbitrage strategies often require lending or borrowing at near risk free rates. Traders outside of banks cannot lend or borrow at anywhere near risk free rates unless they can access secured borrowing, which most of us retail traders can't. Because of this, we are missing on many sweet little arbitrage opportunities, that are exposed only to big players. We don't even get to them.
Trade costs and spread – Always plays a role in all trading costs from the start including margin costs. Depends on the broker as well.
Reasons mentioned above, might be enough, to break someone's game plan, when dealing with true arbitrage problems. This is why different varieties of different and similar approaches are being developed. One of them is EA posted above. The idea of the strategy is simple. that is, if the price is low, buy cheap. Moreover, the lower the price dropped, the greater the volume to buy. Vice versa for sell. There are some more bells and whistles added to the logic, like trend following filter, trading hours and so on. This results in a typical counter-trend strategy with all the ensuing consequences. And the only consequences is that when using this strategy to trade a single pair, the profit can be received from the rollbacks or trend reversals, and also from all flats and ranges. The rest of the time, that is during trends, there is nothing but equity losses to receive. (those can be avoided to an extent, if using trading hours like Asian session for example).
Like I said, a side project development. The arbitrage trading topic, was always very interesting to me. Since, I do believe it's very hard to overcome the mentioned obstacles for an average Joe retail trader in Forex, it is always nice to hear different approaches to break the concept. One of my favourite is also this guy and his concepts here: https://www.forexfactory.com/showthread.php?t=64423 very interesting read indeed. I am trying to follow some of those concepts in my approach as well.
Regarding this thread and what OP wants.
I think Dagoods already helped with some links and indicators, that could do that. Yesterday I think, I've found another one, that might just do what the OP wants. I might be mistaken. In this case moving average shows the difference in prices for two correlated pairs. Decrease means, that price is behind the average between both pairs and you should buy the first pair and sell the second. Vice versa for increase: (I am not affiliated with the product in any way). https://www.mql5.com/en/market/product/3588#
I hope this helps.
The biggest risk is not taking a risk.
))
